High-Frequency Financial Econometrics
$145.51
- Hardcover
688 pages
- Release Date
29 September 2014
Summary
High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This compreh…
Book Details
| ISBN-13: | 9780691161433 |
|---|---|
| ISBN-10: | 0691161437 |
| Author: | Jean Jacod, Yacine Aït-Sahalia |
| Publisher: | Princeton University Press |
| Imprint: | Princeton University Press |
| Format: | Hardcover |
| Number of Pages: | 688 |
| Release Date: | 29 September 2014 |
| Weight: | 1.09kg |
| Dimensions: | 152mm x 235mm |
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Critics Review
“The authors are well established and are at the forefront of this specialised research area. Together they bring a wealth of knowledge to this book… . This text is a great resource for PhD-level courses and a great reference for researchers in the area of high-frequency financial econometrics. It is a fine scholarly book that comprehensively brings readers up to date with very recent developments in the high-frequency financial econometrics literature.”—Ole Worapree Maneesoonthorn, Economic Record
Jean Jacod
Yacine Aït-Sahalia is the Otto A. Hack 1903 Professor of Finance and Economics and director of the Bendheim Center for Finance at Princeton University. He is the coeditor of the Handbook of Financial Econometrics. Jean Jacod is professor at the Institut de Mathématiques de Jussieu in Paris. His books include Discretization of Processes.
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